What I'm interested in is the games that still were released as episodes even in the Windows era. It is true that some games and game genres preclude this kind of distribution because of their internal structure (e.g. there is no actual progression form level to a level). But many that could follow this model used limited demo versions instead (if any at all).
The important distinction here as I understand it lies in (a) whether the demo/shareware is marketed as an "episode" and (b) whether said episode can indeed be regarded as a complete, albeit short, game. Additionally, a shareware episode does not have the "hard" limitations which are sometimes present in demo versions, such as the inability to save or load a game (provided this feature is available in the full version), or limited playing time.
This should also be distinguished from the more recent development of episodic video games where all episodes are commercial from the start.
There are of course some early Win3.x games that follow the same model, like Epic Games' Castle of the Winds, Spiderweb Software's Blades of Exile or Fantasoft's Realmz. These however were released in the time when the Apogee model was still widely used.
So far, I can only name a few Windows games that were released in episodes:
- Arabian Nights
- Duke Nukem: Manhattan Project
- ShadowFlare (although initially, only a limited demo was released)
- Siege of Avalon
Similarly, the demo version of Emperor: Rise of the Middle Kingdom includes the full tutorial campaign that is set in the Xia Dynasty period.
I fancy there should be more games like that (I mean the ones released in the "free first episode" format), although not as plentiful as in early to mid nineties.